Monetary policy rate expectation and energy prices during the FOMC announcement period
Hyeonung Jang and
Byoung Ki Seo
Finance Research Letters, 2020, vol. 32, issue C
Abstract:
This study investigates the relationship between energy prices and anticipated changes in monetary policy during the announcement periods of the Federal Open Market Committee (FOMC). According to the findings, the energy market experienced abnormal price movements before the scheduled FOMC announcements, and these movements are related to the FOMC’s monetary policy decision made the following day. Moreover, changes in the expected monetary policy rate, and not the unexpected rate, affect prices. The volatility of the energy prices increases the day before the scheduled FOMC announcements only if the expected policy rate change is negative.
Keywords: Energy price; Monetary policy; Policy rate expectation; Federal funds rate (search for similar items in EconPapers)
JEL-codes: E43 E52 F41 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318305725
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305725
DOI: 10.1016/j.frl.2019.01.005
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().